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Werner, Thomas

Time variation in the tail behaviour of bund futures returns / Thomas Werner, Christian Upper. - Frankfurt Deutsche Bundesbank 2002 - 33 p. - Discussion paper ; no. 25/02 . - Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre .

Incluye bibliografía.

1. Introduction -- 2. What are heavy tails? -- 3. Estimating and testing the tail index -- 4. Data -- 5. Empirical results -- Conclusions.

ISBN: 3935821344

Subjects--Topical Terms:
BONOS
ANALISIS ECONOMETRICO
RIESGO FINANCIERO

Dewey Class. No.: 332.6323